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A simplified approach to modeling the CO-movement of asset returns (2007)
Journal Article
Harris, R. D., Stoja, E., & Tucker, J. (2007). A simplified approach to modeling the CO-movement of asset returns. Journal of Futures Markets, 27(6), 575-598. https://doi.org/10.1002/fut.20262

The authors propose a simplified multivariate GARCH (generalized autoregressive conditional heteroscedasticity) model (the S-GARCH model), which involves the estimation of only univariate GARCH models, both for the individual return series and for th... Read More about A simplified approach to modeling the CO-movement of asset returns.